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A penalized bandit algorithm


 
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1. Title Title of document A penalized bandit algorithm
 
2. Creator Author's name, affiliation, country Damien Lamberton; Université Paris-Est
 
2. Creator Author's name, affiliation, country Gilles Pagès; Université Paris 6
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Two-armed bandit algorithm; penalization; stochastic approximation; convergence rate; learning
 
3. Subject Subject classification 62L20; 93C40; 91E40; 68T05; 91B32
 
4. Description Abstract We study a two armed-bandit recursive algorithm with penalty. We show that the algorithm converges towards its ``target" although it always has a noiseless ``trap". Then, we elucidate the rate of convergence. For some choices of the parameters, we obtain a central limit theorem in which the limit distribution is characterized as the unique stationary distribution of a Markov process with jumps.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-03-10
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/489
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-489
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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